Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/185950 
Autor:innen: 
Erscheinungsjahr: 
2010
Quellenangabe: 
[Journal:] Swiss Journal of Economics and Statistics [ISSN:] 2235-6282 [Volume:] 146 [Issue:] 1 [Publisher:] Springer [Place:] Heidelberg [Year:] 2010 [Pages:] 385-404
Verlag: 
Springer, Heidelberg
Zusammenfassung: 
An affine yield curve model is estimated on daily Swiss data 2002–2009. The market price of risk is modelled in terms of proxies for uncertainty, which are estimated from interest rate options. The estimated model generates innovations in the 3-month rate that are similar to external evidence of monetary policy surprises - as well as term premia that are consistent with survey data. The results indicate that a surprise increase in the policy rate gives a reasonably sized decrease (-0.25%) in term premia for longer maturities.
Schlagwörter: 
Affine price of risk
interest rate caps
survey data
JEL: 
E27
E47
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